Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0683
Annualized Std Dev 0.3720
Annualized Sharpe (Rf=0%) -0.1836

Row

Daily Return Statistics

Close
Observations 4376.0000
NAs 1.0000
Minimum -0.2574
Quartile 1 -0.0062
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0003
Quartile 3 0.0073
Maximum 0.5323
SE Mean 0.0004
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0007
Variance 0.0005
Stdev 0.0234
Skewness 1.5275
Kurtosis 80.5434

Downside Risk

Close
Semi Deviation 0.0168
Gain Deviation 0.0200
Loss Deviation 0.0214
Downside Deviation (MAR=210%) 0.0205
Downside Deviation (Rf=0%) 0.0168
Downside Deviation (0%) 0.0168
Maximum Drawdown 0.9578
Historical VaR (95%) -0.0259
Historical ES (95%) -0.0569
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.9578 3474 444 NA
2003-11-18 2004-05-10 2005-07-28 -0.2508 426 119 307
2005-08-04 2005-10-13 2006-03-06 -0.1373 147 50 97
2007-02-08 2007-03-05 2007-06-04 -0.1222 80 17 63
2006-03-20 2006-05-24 2006-08-03 -0.1037 96 47 49

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA 0 1 -0.6 0.3
2004 -0.1 0.6 -0.3 -0.6 0 1.4 1.9 0.6 1.9 1 1 0.5 8
2005 1.8 1.6 1 0.4 1.9 0.5 0.2 1.3 1 -0.7 1.3 0.8 11.5
2006 0.1 0.6 0.1 -0.1 1.2 1.2 0 -0.9 0.2 -0.1 0.2 0.7 3.3
2007 -0.5 -1.2 0.4 -0.7 0.6 -0.3 -0.7 3.2 1.5 -2.7 1.8 4.1 5.2
2008 3.2 -1.5 6 2.7 1 0 2.9 0.3 2.8 6.4 0 4.6 32.1
2009 -4.9 -4.6 3.2 2.1 3.1 4.7 0.9 -4.2 -2.1 -6.8 0.7 -1.6 -9.8
2010 1.4 2.3 0.6 -2.9 -3.1 0.9 0.3 2.3 1.1 0 0 0.3 2.8
2011 0.2 -1.9 0.5 0.5 -1.6 1.4 0.2 -1.5 -1.9 -2.3 -1.3 1.1 -6.6
2012 1.2 0.5 1.7 0.5 -1.4 1.6 1.5 1.1 -0.4 2.8 0 0.9 10.2
2013 0.3 0.4 0.6 0.2 -2.5 0.6 -1.1 0.3 1.1 -0.2 -1.3 -0.7 -2.3
2014 0.2 -0.2 0.2 1 -0.2 0.4 -1 0.8 -0.2 0.8 0 -0.4 1.4
2015 -1.2 1.1 -0.2 0.6 0.8 1.5 1.2 -2 -0.9 0.4 1.2 0.8 3.4
2016 -0.4 1.7 0 0 -0.2 0.4 -0.5 -0.3 -0.2 -1.7 -1.6 1.5 -1.4
2017 -0.9 -0.5 0.9 -0.2 1.1 -0.4 1.1 -0.2 1.4 0 -0.2 0.7 3
2018 0.2 0 1.3 1.5 1.4 0.6 -0.4 -0.2 1 -1.7 1 1.2 6
2019 -1.1 -0.8 -0.6 0.5 -0.4 0.1 -0.9 -0.2 -1.4 0.5 0.5 0.4 -3.3
2020 -1 -4.8 -8.7 -3.5 4.3 2.8 -0.8 1.3 3.2 0.3 1.2 1.8 -4.6
2021 1.2 1.2 0.5 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart